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Testing the Information Efficiency in Emerging Markets

In: Financial Management from an Emerging Market Perspective

Author

Listed:
  • Ceyda Aktan
  • Eyyup Ensari Sahin
  • Ilhan Kucukkaplan

Abstract

One of the most common issues for investors regarding markets nowadays is to what extent these markets are efficient as all of them aim to increase their gains and beat the market as much as possible. This competition among them will inevitably result in markets becoming efficient and, therefore, prices quickly adjusting to the new coming information. Eventually, investors will most probably receive only a sum that makes up for the risk they took and the time value of money they invested. This is where market efficiency, its theory and forms come into question. There have been many researches conducted assessing the efficiency of different markets located throughout the world. However, there are still a lot of gaps in research involving emerging economies which needs to be completed for the sake of investment decisions. Therefore, the purpose of this chapter is to is to show how information efficiency relates to the stock markets of emerging economies, how it implicates investors, analyze the stock prices of 24 emerging economies to look for their weak form efficiency, and to put forward a set of commonalities found in results of literature relating to emerging market information efficiency.

Suggested Citation

  • Ceyda Aktan & Eyyup Ensari Sahin & Ilhan Kucukkaplan, 2018. "Testing the Information Efficiency in Emerging Markets," Chapters, in: Soner Gokten & Guray Kucukkocaoglu (ed.), Financial Management from an Emerging Market Perspective, IntechOpen.
    • Handle: RePEc:ito:pchaps:119583
    DOI: 10.5772/intechopen.70369
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    More about this item

    Keywords

    information efficiency; efficient market hypothesis; emerging economies; weak form of efficiency; anomalies;
    All these keywords.

    JEL classification:

    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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